Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/131122
Title: Using realistic trading strategies in an agent-based stock market model
Author: Llacay Pintat, Bàrbara
Peffer, Gilbert
Keywords: Mercat financer
Anàlisi de sistemes
Mètodes de simulació
Calibratge
Financial market
System analysis
Simulation methods
Calibration
Issue Date: Sep-2018
Publisher: Springer Science + Business Media
Abstract: The use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model to reproduce a set of empirical stylised facts. However, other common-sense evidence is available which is often not taken into account, ending with models which are valid but not sensible. In this paper we present an ABM of a stock market which incorporates this type of common-sense evidence and implements realistic trading strategies based on practitioners literature. We next validate the model using a comprehensive approach consisting of four steps: assessment of face validity, sensitivity analysis, calibration and validation of model outputs.
Note: Versió postprint del document publicat a: https://doi.org/10.1007/s10588-017-9258-0
It is part of: Computational and Mathematical Organization Theory, 2018, vol. 24, num. 3, p. 308-350
URI: http://hdl.handle.net/2445/131122
Related resource: https://doi.org/10.1007/s10588-017-9258-0
ISSN: 1381-298X
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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